Click Configure next to Advanced Settings and select the Enable file versioning and rollback capabilities (based on Volume Shadow Copy).

The Shadow Copy data is stored on the audited file server. VSS is a built-in Windows service, and when you enable the VSS support, Netwrix Auditor just triggers creation of a snapshot. If you have not configured VSS, you may want to turn it off (especially if you do not have enough space on that server). To know precisely where the Shadow Copy data is stored, refer to the Shadow Copy information on the drive volume.